Reflection principle and Ocone martingales
Probability
2008-07-25 v1
Abstract
Let be any continuous real-valued stochastic process. We prove that if there exists a sequence of real numbers which converges to 0 and such that satisfies the reflection property at all levels and with , then is an Ocone local martingale with respect to its natural filtration. We state the subsequent open question: is this result still true when the property only holds at levels ? Then we prove that the later question is equivalent to the fact that for Brownian motion, the -field of the invariant events by all reflections at levels , is trivial. We establish similar results for skip free -valued processes and use them for the proof in continuous time, via a discretisation in space.
Keywords
Cite
@article{arxiv.0807.3816,
title = {Reflection principle and Ocone martingales},
author = {Loïc Chaumont and L. Vostrikova},
journal= {arXiv preprint arXiv:0807.3816},
year = {2008}
}